CHAPTER 3.
Nonlinear estimation, like all data analysis procedures, involves many practical
considerations. In this chapter, we discuss some techniques which help ensure a
successful nonlinear analysis. The topics include model specification, prelim
inary analysis, determination of starting values, transformations of parameters
and variables, other iteration schemes, convergence, assessment of fit and
modification of models, correlated residuals, accumulated data, comparison of
models, parameters as functions of other variables, and presentation of results.
A case study in which we illustrate many of the techniques presented in this
chapter is given in Section 3.13. The important practical problem of designing
experiments for nonlinear models is discussed in the final section.
provide an adequate fit of the model to the data, subject to the assumptions about
the disturbance. Note that it is not necessary for the expectation function to be
stated as an explicit function of the parameters and the control variables. In
Chapter 5 we discuss an important class of models, known as compartment
models, in which the expected response is given by the solution to a set of linear
differential equations. Special techniques, developed in that chapter, can be
used to avoid solving explicitly for the expectation function in terms of the
parameters and independent variables.
In other situations, the expectation function may be the solution to a non
linear differential equation or an integral equation which has no analytic solu
tion. Then the value of the expectation function must be determined numerical
ly for any given parameter values for a regular nonlinear least squares program
to be used. In such situations, numerical parameter derivatives or a derivative
free optimization procedure will often have to be used to calculate the least
squares estimates. However, as discussed in Caracotsios and Stewart (1985).
when an expectation function is obtained from the solution to a set of ordinary
differential equations, the parameter derivatives of the expectation function can
be determined from the sensitivity functions for the system of differential equa
tions. These functions are evaluated numerically at the same time as the solu
tion of the differential equations is evaluated.
Example: aPlnene 1
The decomposition of apinene was investigated by Fuguitt and Hawkins
(1945, 1947), who reported the concentrations of five reactants as a func
tion of time, at a series of reaction temperatures. In Appendix 1, Section
A1.6, we present the data for the run at 189.5OC.
We discuss these data in Chapters 4 and 5 and fit a model which is
specified by a set of linear differential equations. As discussed in Chapter
5 , the parameters in such models can be estimated very easily, due to the
ease with which they can be specified and the ease with which the
responses and the derivatives with respect to the parameters can be evaluat
ed. As will be also shown in Chapter 5 , however, the linear differential
equation model does not provide an adequate fit to the apinene data.
Stewart and Sorensen (1981) analyzed the complete data set reported
by Fuguitt and Hawkins (1945, 1947). and proposed a model consisting of
a set of five nonlinear differential equations
df3
dt = elf I
PRACTICAL CONSIDERATIONS 69
are given in Caracotsios and Stewart (1985). The derivative matix V can
then be calculated from the sensitivity functions.
All nonlinear estimation programs are based on specific assumptions about the
disturbance term, usually that the disturbance is additive and normally distibut
ed with zero mean, constant variance, and independence between cases (see
70 NONLINEAR REGRESSION ANALYSIS
Example: lsomerization 2
For the isomerization data of Example Isomerization 1, the function
FD =  F/DENOM
the derivatives become (denoting df/de, by F1 and so on),
F1 = THETA(3)*RATIO
F2 = FD*X(l)
F3 = THETA(1)*RATIO + FD*X(2)
F4 = FD*X(3)
It is also important to check that the data being analyzed are valid. That
is, one must always ensure that the correct numerical values of the response and
predictor variables have been entered into the machine. Probably the most ef
fective way to check this is to plot the response versus each predictor variable,
making sure that the response behaves the way it should with respect to each of
the predictor variables.
One of the best things one can do to ensure a successful nonlinear analysis is to
obtain good starting values for the parametersvalues from which convergence
is quickly obtained.
Several simple but useful principles for determining starting values can be
used:
We discuss each of these techniques in turn, and illustrate them with specific ex
amples. For further discussion on obtaining starting values, see Ratkowsky
(1983).
One of the advantages of nonlinear regression is that the parameters in the ex
pectation function are usually meaningful to the scientist or researcher. This
meaning can be graphical, physical, biological, chemical, or in some other ap
propriate form, and can be very helpful in determining starting values. Initial
PRACTICAL CONSIDERATIONS 73
estimates for some of the parameters may be available from related experiments.
Also, plotting a nonlinear expectation function using various values for the
parameters is an extremely beneficial exercise, because in this way one becomes
familiar with the function and how the parameters affect its behavior.
Sometimes starting values can be obtained by considering the behavior
near the origin or at other special design values. For example letting x = 0
gives the initial value of O1 +02 for the model f ( x , 8 )=el+0,ed3x, and letting
x + gives the asymptote O1 (assuming O3 > 0).
OQ
Example: Puromycin 9
In the MichaelisMenten expectation function, f = 01x/(02+ x), the
parameter €I1is the asymptotic velocity of the enzymatic reaction, and so
can be estimated by the maximum observed data value, ymm, or by eye
from a plot. Graphically, O1 represents the asymptotic value of f a s x + OQ.
Similarly, e2 represents the halfconcentration, i.e. the value of x such that
when the concentration reaches that value the velocity is onehalf its ulti
mate value. For the Puromycin data, ymax= 207 provides a good starting
value for el. From a plot of the data (Figure 2.1), or simply from a listing,
it can be seen that the observed velocity reaches ym,/2 at a concentration
of about 0.06 and so this value can be used as a starting value for €I2. H
Sometimes rates of change of the function at specified design values can be used
to obtain parameter starting estimates. For example, the derivative with respect
to x of the MichaelisMenten model at x = 0 is 8 , /02, and so by estimating the
rate at x = 0 from the ratio of differences of adjacent y values over differences
of adjacent x values, and dividing this rate into y,,,, we can obtain a starting
value for 02. For Puromycin data, we obtain O2 = 207/(61/0.02)= 0.068.
Similarly, derivatives at special values of x , such as limits or points of
inflection, can be used. For example, for the double exponential model
f= + e3e'4~
assuming e2 > 04, the function behaves like a simple exponential 03ea4' for
large x and like O3 + €I1
ee2x for small x . Thus, the rate of change at small x pro
vides an estimate of 02,and at large x an estimate of 04.
A linear regression (with a constant term) of (x2 x3/ 1.632)ly on x1, x2, and x3
would yield starting values
Oo 1 fjLY 81 @=, B2 @=T
B3
1
B2 PO PO PO
Example: Sulfisoxazole 1
To demonstrate the technique of peeling, we consider sulfisoxazole data
given in Kaplan et al. (1972) and described in Appendix 1, Section A1.7.
In this experiment, sulfisoxazole was administered to a subject intravenous
ly, blood samples were taken at specified times, and the concentration of
sulfisoxazole in the plasma was measured. The data are plotted in Figure
3.1.
Plotting the sulfisoxazole concentration on a log scale versus x as in
Figure 3.2a reveals monotonic decay with straight line behavior for large x,
PRACTICAL CONSIDERATIONS 75
I I I 1
0 10 20 30 40 50
Time (rnin)
Figure 3.1 Plot of sulfisoxazoleconcentration in plasma versus time.
9
P
4
,\
\.
,
x
\
,,
In many model functions, several of the parameters are conditionally linear (see
Section 2.1) and linear regression can be used to get starting values for these
parameters conditional on the nonlinear parameters. Alternatively, special algo
rithms which exploit the conditional linearity, described in Section 3.5.5, can be
used. These algorithms only require starting estimates for the nonlinear parame
ters. As an example of conditional linearity, in
f(x.0) =el + ~ ~ e  ~ ~ ~
both €I1and €I2 are conditionally linear, so it is possible to use linear least
squares to estimate €)(I and es once an estimate for 09 has been obtained. A de
tailed example involving conditionally linear parameters is given in Section 3.6.
PRACTICAL CONSIDERATIONS 77
The parameters in most nonlinear models are restricted to regions which make
sense scientifically. For example, in the MichaelisMenten model and in the
isomerization model, all the parameters must be positive, and in exponential
models, the parameters in the exponent usually must be positive.
It is often possible to ignore the restrictions when fitting the model and
simply examine the converged parameter estimates to see if they satisfy the con
straints. If the model fits the data well, the parameter estimates should be in a
meaningful range. Sometimes, though, it may be dangerous to allow the param
eter estimates to go into proscribed regions during the iterations because the
parameter values may begin to oscillate wildly or cause numerical overflows. In
these situations, one should impose the constraints throughout the estimation
process.
General techniques for optimizing functions whose parameters are con
strained, called nonlinear programming, are beyond the scope of this book. See,
for example, Gill, Murray, and Wright (1981) or Bard (1974) for details. For
tunately, the types of constraints that are applied to the parameters of a non
linear regression model are usually simple enough to be handled by parameter
transformations. For example, if e,, must be positive, we reparametrize to
$, = In €I,,so throughout the iterations the value of 3(, = e b remains positive.
An interval constraint on a parameter, say
a l e l b
can be enforced by a logistic transformation of the form
78 NONLINEAR REGRESSION ANALYSIS
ba
O=a+
1+e+
while an order constraint on parameters €Ij, . . . ,e k , say
a<8j<8j+l< IekIb
can be enforced by a transformation given in Jupp (1978).
The order constraint can be used to ensure a unique optimum in a model
with exchangeable parameters. As an example of such a model, consider the
double exponential model
j ( x , ~ ) = e ~ e ~ 0102.04
~ ~ + ~ ~ e ~ ~ ~
where the pairs of parameters (0, ,e2) and (e3,e4)
are exchangeablethat is, ex
changing the parameter pair (eI,0,) with the pair (e3.e4)will not alter the
values of the expected responses. Exchangeable parameters can create nasty
optimization problems because the linear approximation cannot account for that
kind of symmetry.
In this example, we remove the exchangeability by requiring
o 5 e2I e4
and enforce this with the transformation
e2= e 92
e4 = e'2 (1 +e'4)
Since el and €I3 are conditionally linear parameters, their optimal values are
uniquely determined when 02 and 0, are distinct. Thus we only need to keep e2
and O4 ordered to eliminate the exchangeability.
and the derivative vectors tend to be collinear when the values of x are all posi
PRACTICAL CONSIDERATIONS 79
where
a = a2s
ae aeT
is the Hessian of S(0)evaluated at 8'. The approximating sum of squares func
tion will have a stationary point when its gradient is zerothat is, when
o+n(e eo)= o
and this stationary point will be a minimum if n is positive definite (all its
eigenvalues positive). If Q is positive definite, the NewtonRaphson step is
80 = Q' a
For the function
s(e) = ( Y  ~ I ) ~ ( Y  ~ )
the gradient is
o = 2VT(y  q)
and the Hessian is
 q)
avT
n = 2VTV  2(y
aeT
where V is the derivative matrix. The GaussNewton increment is therefore
equivalent to the NewtonRaphson increment with the second derivative term
avTiaeTset to zero.
Dennis, Gay, and Welsch (198 1) describe a nonlinear least squares rou
tine which develops a quasiNewton approximation (Dennis and Schnabel,
1983) to the second term in the Hessian. This extends the GaussNewton algo
rithm and makes it closer to the NewtonRaphson algorithm, which has the ad
vantage that the approximating Hessian should be closer to the actual Hessian
than the single term VTV used in the GaussNewton algorithm. However, the
term VTV is necessarily positive definite (or at least positive semidefinite), since
the eigenvalues of VTV are the squares of the singular values of V. Adding
another term on to this to form an approximating Hessian can destroy the posi
tive definiteness, in which case the NewtonRaphson algorithm must be
modified to restore positive definiteness in the Hessian.
recommend using double precision or extended precision arithmetic for the cal
culations, where feasible, and using joint variableparameter transformations as
discussed in Section 3.4.
Another general method for dealing with nearsingularity is to modify the
GaussNewton increment to
6 ( k ) = (VTV+kI)'VT(yq) (3.1)
as suggested in Levenberg (1944), or to
6 ( k )= ( V T V + k D )  ' V T ( y  ~ )
as suggested in Marquardt (1963), where k is a conditioning factor and D is a di
agonal matrix with entries equal to the diagonal elements of VTV. This is called
the LevenbergMarquardt compromise because the direction of 6 ( k ) is inter
mediate between the direction of the GaussNewton increment (k +0) and the
direction of steepest descent VT(y q)/ VT(yq) I (k +m).
Note that Levenberg recommends inflating the diagonal of VTV by an ad
ditive factor, while Marquardt recommends inflating the diagonal by a multipli
cative factor 1 + k. Marquardt's method produces an increment which is invari
ant under scaling transformations of the parameters, so that if the scale for one
component of the parameter vector is doubled, the increment calculated, and the
corresponding component of the increment halved, the result will be the same as
calculating the increment in the original scale. In Levenberg's method, this is
not true. Box and Kanemasu (1984) showed, however, that if one requires in
variance of the increment under linear transformations of the parameter space,
the resulting increment is the GaussNewton increment with a step factor.
The LevenbergMarquardt compromise is more difficult to implement
than the GaussNewton algorithm, since one must decide how to manipulate
both the conditioning factor k and the step factor h; nevertheless it is implement
ed in many nonlinear least squares programs. Although we presented the incre
ment in terms of the inverse of an augmented VTV matrix, the actual calcula
tions for the increment should be done using a QR decomposition of V and ap
plying updates from a diagonal matrix using the Givens rotations (Dongma et
al., 1979, Chapter 10; Golub and Pereyra, 1973), since the Levenberg increment
(3.1) is the least squares solution to the system with derivative matrix
L J
There are derivativefree methods which do not simply use numerical approxi
mations to derivatives. Ralston and Jennrich (1978) introduced one such rou
tine, DUD (Doesn't Use Derivatives), which is based on using a secant plane ap
proximation to the expectation surface rather than a tangent plane approxima
tion.
To use DUD, one must provide starting values 8'. The program then au
tomatically produces a further set of P parameter vectors by displacing each
parameter in turn by 10%. These parameter vectors are then used to calculate
expectation vectors q l,q2,. . . , giving a secant plane which matches the expec
tation surface at P + 1 points. A set of linear coordinates is generated on the
PRACTICAL CONSIDERATIONS 83
secant plane, and the projection of y onto the secant plane is made and mapped
into the parameter plane. This information is used to calculate a new 8 vector,
say W, for which q(8') is closer to y than any of the other parameter vectors.
The parameter vector 8 corresponding to the q which is farthest from y is then
replaced by 8', and the process continued until convergence is achieved.
Example: Rumford 6
DUD can be illustrated very effectively using a twoobservation example
such as in Example Rumford 2. To simplify arithmetic and to provide a
better scale for the figure, we provide the necessary two ( = P + 1) starting
values rather than using the automatic 10% displacement. The two starting
values are chosen to be 8' =0.02 and O2 =0.10. Figure 3.3 shows the ex
pectation surface q(8) together with the secant line 1 through the points
q(8') and q(e2). We now introduce a linear scale parameter a on 8 such
that 8=8' + T a , where T = ( 0 2  8 ' )and so a = O at 8' and a= 1 at e2. We
also im se a linear scale on I such that I(a)=q(O1)+Ha, where
P
H=q(8 )q(O'). The linear coordinate system is also shown in Figure
3.3.
Figure 3.3 A geometric interpretation of the calculation of the DUD increment using the
2case Rumford data. A portion of the expectation surface (heavy solid line) is shown in
the response space together with the observed response y. Also shown is the projection
of yq(O.02) onto the secant plane joining q(0.02) and q(O.10) (solid line). The tick
marks indicate true positions on the expectation surface and linear approximation posi
tions on the secant plane.
84 NONLINEAR REGRESSION ANALYSIS
and
I = q(8')+ H a
[124.62
= 90.831 +[
17.70
29.671 a

19.17
onto I to obtain
ii = ( H ~ H )  ' H ~ ( YI(o))
For this example
L.
= 0.49
so new value of 8 is
en,, = 0.02 + ~(0.49)
= 0.02 + 0.08(0.49)
= 0.019
Evaluating the sum of squares at this point reveals that this new point is
farther from y than either of the two starting points, and so a step factor h is
introduced to search along the increment vector to determine a better point.
Incorporating h as
etria,= enewh+eold(1
h)
PRACTICAL CONSIDERATIONS 85
6(+)= A(+)A+(+)Y
Golub and Pereyra (1 973) formulated a GaussNewton algorithm to minimize
the reduced sum of squares function
that depends only on the nonlinear parameters. In particular, they give the
+,
derivative of A+(+) with respect to which is the key ingredient in the algo
rithm. The expression for this derivative is used in Chapter 4, where we present
a GaussNewton algorithm for multiresponse parameter estimation.
One difficulty with using projection over the conditionally linear parame
ters is that additional information about the parameters must be given by the
user. The user must specify which parameters are conditionally linear as well as
specifying the derivatives of the entries of A with respect to 4. This often
results in more difficulty than simply ignoring the conditional linearity. There
are some structured problems, howeversuch as spline regression with knot po
sitions allowed to vary, as described in Jupp (1978Fwhere the division
between conditionally linear and nonlinear parameters is inherent in the
specification of the problem, so the GolubPereyra method can be used to ad
vantage. These methods are discussed further in Kaufman (1975) and Bates and
Lindstrom (1986).
If the answer to all these questions is yes, look carefully at the output
from the optimization program. Most good programs can produce detailed out
put on each iteration to help find out what is wrong. Check to see that the initial
sum of squares, S(eo), is smaller than the sum of squares of the responses. If
not, then the fitted function is worse than no function and, in spite of your
checks, you probably have an incorrect expectation function, or incorrect data,
or incorrect starting values. You may even be trying to fit an x variable rather
PRACTICAL CONSIDERATIONS 87
Example: Lubricant 1
To illustrate the process of getting starting values and obtaining conver
gence for a complicated nonlinear model function, we consider data on the
kinematic viscosity of a lubricant as a function of temperature (xI)and
pressure (q). The data, discussed in Linssen (197% are reproduced in
Appendix 1, Section A1.8, and plotted in Figure 3.4. The model function is
88 NONLINEAR REGRESSION ANALYSIS
A 0
A o *
0 25.0%
37.8% A 0
1
= 98.9% A o*
0
That is, we can ignore the terms involving e4, €I5, O,, and e9. By examin
ing the plot, we see that the data for each temperature follow quite straight
lines for w 2 c 2, so we choose this for the range. Also, for fixed values of
xI,the leading term and the exponential term are constant and we may
rearrange the model as
yf=e3w2+e6w2g
=w2P
where
y’=y 983
192+~1
XI /e8
g=e
and
p = e3 +e6g
Regressing y’ on w 2 for each of the four temperatures 0, 25, 37.8,
98.9 gives p values of 1.57, 1.49, 1.39, 1.37. We now use the p values and
to obtain estimates for e3 and 06 by noting that
 X I /88
the relation g = e
w h e n x I = O w e h a v e g = 1 , s o p = e 3 + e 6 , a n d w h e n x I +  , p=e3. We
therefore estimate the sum of the two parameters as 1.57 (the value of p at
x I = 0). and assuming that the lower asymptote has almost been reached at
the highest temperature, we choose e3 to be 1.35, which is a bit smaller
than 1.37 (the value of p at x 1=98.9). The value for e6 is then estimated
as 1.57 1.35 = 0.22. Finally, since p = O3 + (36 g, so (p  e3)/e6=g, we re
gressed
stable variance before fitting the model. Replications also allow one to test for
lack of fit of the model by comparing the ratio of the lack of fit mean square
with the replication mean square with the appropriate F distribution value, as
discussed in Sections 1.3.2, 3.10, and 3.12.
Example: Chloride 1
Sredni (1970) analyzed data on chloride ion transport through blood cell
walls. The data, derived from Sredni's thesis, are listed in Appendix 1,
Section A1.9, and plotted in Figure 3.5. The observation y, gives the
chloride concentration (in percent) at time x,, (in minutes).
*...
w ...
....
..*
cv
( D 
.*
..
0.
&*
z
@ N 
ij
5: .
0 
N .*.'
.*
$  .*
3 4 5 6 7 8
Time (min)
Figure 3.5 Plot of chloride concentration versus time for the chloride transport data.
PRACTICAL CONSIDERATIONS 93
When the disturbances are not independent, the model for the observa
tions must be altered to account for dependence. Common forms for depen
dence, or autocorrelation,of disturbances are moving average or autoregressive
models of variable order (Box and Jenkins, 1976). Simple examples of such
forms are a moving average process of order 1 where
Z" = E n OIEnl
? 
0
x 1
I
I
.
.
2 . . ..
. . 2 .
I
I
*I
.*
.) *:?.I..*
.I
.* .I ;*:
.. . ;c?        c   I **
,9 c 
..@*,.'. ,.
<N 0 0 :
<N 0
8 .
.*I
? ?
**'
.= .

I
1
8 8
I
* I
, I
I
94 NONLINEAR REGRESSION ANALYSIS
and the E,, n = 1,2, ....N,are independent random disturbances with zero mean
and constant variance, or more simply, white noise.
In regression situations, when the data are equally spaced in time, it is re
latively easy to determine an appropriate form for the dependence of the distur
bances by calculating and plotting the residual autocorrelationfunction,
in 2nk
rk=  k=l,2,. ..
n=k+l Ns2
versus the lag k. In the definition of rk, s 2 is the variance estimate, and the resi
duals are assumed to have zero average. The residual autocorrelation function
is usually calculated out to k = N I5. If the residual autocorrelation function is
consistently within the range f 2 d N after lag 2 or 3, then the model may be
identified as a moving average process of order 1 or 2. If the residual autocorre
lation function tends to decay gradually to zero, then the process may be
identified as an autoregressive process. Alternatively, to determine the order of
the autoregressive process, it may be necessary to calculate the partial aufo
correlation function (Box and Jenkins, 1976). For regression situations where
time is not the only factor, or the most important factor, first order autoregres
sive processes are often adequate.
Example: Chloride 2
The residual autocorrelation function for the chloride data was calculated
c
2
.0 ...........................................................
3
F O , I I
1 I
B 0
c

J
........................................................
?t
. ,
9
r
2 4 6 a 10 12 14
Lag
Figure 3.7 Autocorrelation function of the residuals from the original nonlinear least
squares fit to the chloride data. The dotted lines enclose the interval in which approxi
mately 95% of the correlations would be expected to lie if the true correlations were 0.
PRACTICAL CONSIDERATIONS 95
and plotted as in Figure 3.7. The correlation estimates decay towards zero,
falling within the limits f 2 d N (shown as dotted horizontal lines) quite
quickly. On the basis of this plot, it was decided that a first order autore
gressive process would adequately model the dependence in the residuals.
The model to be fitted is now of the form Y,,=f(xn,8)+Z,, where
Z,, = E,, +@Z,,l. To estimate the parameters 8 and @, we reduce the prob
lem to an ordinary nonlinear least squares problem by subtracting @ times
the equation for Y,,l from Yn,as
y,  @Y,,~= f ( x , , e )  ~ f ( ~ n  , , ~ ) + Z ,  ~ Z , ,  l
or
Y, = @Y,,~+f(x,,e)@f(xnl,e)+En
Starting values for 8 were taken from 6 above, and the starting value
for t$ was taken as the lag one correlation estimate, r = 0.67. Convergence
was obtained to (eT,t$) = (37.58,0.849,0.178,0.69)with a residual sum of
squares of 0.98. The residuals E from this fit are well behaved, as shown in
Figure 3.8 and the residual autocorrelation function, shown in Figure 3.9,
was uniformly small.
0.
.. . *
*. .. . .
.. . . . .. 1
r
..
:
8 1
I .
.I
m I 1 I
C
.............................................................
iii
.0
f2
9)
.',L
I I I . . I
5 ............................................................
2 4 6 8 10 12 14
Lag
Figure 3.9 Autocorrelation function of the residuals from the nonlinear least squares fit
to the chloride data using +=0.69. The dotted lines enclose the interval in which approx
imately 95% of the correlations would be expected to lie if the true correlations were 0.
0.5 1 5 10 50 100
Time (hours)
Figure 3.10 Plot of cumulative exhaled C 0 2 amounts versus collection interval end
point for the ethyl acrylate data.
Two methods for the analysis of such data were given in Renwick (1982).
The first method uses peeling of the “approximate concentration” data obtained
by dividing the accumulated amount by the accumulation time interval. The
second method uses the cumulative total, extrapolated to infinite time, and then
peeling of the differences [extrapolated (cumulative forul)].This is called the
“sigmaminus” method.
We do not recommend either of these methods, and specifically decry use
of the sigmaminus method because it is so sensitive to variations in the extra
polated value. It can be shown, for example, that small percentage changes in
the extrapolated value, say less than 296, can cause changes in the rate constants
in excess of 100%. Furthermore, both methods are based on peeling, which re
quires excessive subjective judgement. Instead of the abovementioned methods,
we recommend direct analysis of the accumulated data using integrated
responses as described below. In addition to avoiding the disadvantages of the
other methods, this method has the advantage that it provides measures of preci
sion of the estimates in the form of parameter approximate standard errors and
correlations.
98 NONLINEAR REGRESSION ANALYSIS
Suppose that the theoretical response to the input stimulus at time t is f(t.0).
Then the accumulated output in the interval tfll to f,, is
rn
F, = j f(t,ewt
hI
We therefore use the integrated function values F, and the observed accumulat
ed data pairs Cy,, t,) to estimate the parameters. We rewrite the model in terms
of the factors x = rfll, the start of the interval, and x2, = t,,  tfll, the length of
the interval, so the model for the amount accumulated in an interval is F(x,,0),
where x,=(x~,,,x~,,)T .
To determine a tentative form for f(t,0),we plot the approximate rates
yn/x2,, versus x + x z n / 2 on semilog paper and use peeling to obtain starting es
timates for the parameters. The final estimation is done using nonlinear least
squares. Note that if the variance is not constant, it may be necessary to
transform the data and the function, as in the following example.
or
e4+Q5 eIxI ea1x2)
F(X,0) =  e (1
Q1
v)
8
al

c
!!
al
m
.E
x
v)
o
e
no
s
2
v)
0
0
8
0 10 20 30 40 50 60
Interval midpoint (hours)
Figure 3.11 Approximate C 0 2 exhalation rate versus collection interval midpoint for
the ethyl acrylate data.
logarithms of the data. The results of this analysis together with the start
ing estimates are presented in Table 3.2.
In an analysis of the logarithmic data for the individual rats, due at
tention was paid to the behavior of the residuals. The triple rate constant
model fitted the data very well. H
Example: Saccharin 1
As a second example of treating accumulated data, we analyze the saccha
rin data in Renwick (1982). In this experiment, the measured response was
the amount of saccharin accumulated in the urine of a rat after receiving a
single bolus of saccharin. The data are recorded in Appendix 1, Section
A 1 . 1 1 , and plotted in Figure 3.12.
The function involved only two rate constants, and the response was
modeled as
f ( t . 0 )= e3e4"+ 04ee2'
so
As in the ethyl acrylate example, the integrated model was fitted to the log
arithms of the accumulated data to stabilize variance.
The curve peeling and the sigmaminus method results from
Renwick (1982) are given in columns 2 and 3 of Table 3.3, and the results
using the direct integration method are given in column 4. Note the consid
erable differences between the results based on peeling and those obtained
by nonlinear least squares. Note too, that the peeling and sigmaminus
0 20 40 60 80 100 120
Time (min)
Figure 3.12 Plot of cumulative excreted amount versus collection interval end point for
the saccharin data.
102 NONLINEAR REGRESSION ANALYSIS
Estimate by
Nonlinear Least squares
Approx.
Parameter Peeling" SigmaMinus" Value Std. Err.
01 0.07 10 0.0833 0.122 0.03 1
(32 0.0234 0.0255 0.0279 0.003
(33 830 932 1345 249
(34 270 314 402 98
" From Renwick (1982).
methods do not provide parameter standard errors.
There were two very large residuals from the nonlinear least squares
fit, at x I = 5 and x I = 105. A second analysis was done by simply combin
ing the observations at x I = 5 and x , = 15 and at x I=90 and x 1= 105, as
shown in Table 3.4. The residuals from this fit were very well behaved,
Original Combined
Collection Collection
Interval (hr) Interval (hr)
Start Length Saccharin Start Length Saccharin
XI x2 (PB) XI x2 (clg)
0 5 7518 0 5 7 518
5 10 6 275 5 25 11 264
15 15 4 989
30 15 2 580 30 15 2 580
45 15 1485 45 15 1485
60 15 86 1 60 15 861
75 15 56 1 75 15 56 1
90 15 363 90 30 663
105 15 300
PRACTICAL CONSIDERATIONS 103
and the residual variance was reduced to 0.0071 from 0.0158. The parame
ter estimates (standard errors in parentheses) were el = 0.154(0.035),
e2= 0.030(0.002), e3= 1506(233),and e4 = 472(70).
In some situations there may be more than one function which could be used as
a model. For example, in fitting a double exponential model,
j(x,e)=eleazx+ e 3 2 4 x
0, could be 0, in which case the model reduces to
f ( x , e ) = ele+I + e3
or O3 could be 0, in which case the model reduces to
f ( x ,e) = ele Bzx
In this situation of nested models, we would be interested in finding the simplest
model which adequately fits the data.
In other situations, we might compare nonnested modelsfor example,
model 1
f ( x , e ) = e l ( i  e+x)
versus model 2
both of which start at f = 0 when x = 0 and approach the asymptote €I1 as x +.
In these situations, one model may give a superior fit to the data, and we would
like to select that model.
To decide which is the simplest nested model to fit a data set adequately, we
proceed as in the linear case and use a likelihood ratio test (Draper and Smith,
1981). Because of the spherical normal assumption, this leads to an assessment
of the extra sum of squares due to the extra parameters involved in going from
the partial to the full model.
Letting S denote the sum of squares, v the degrees of freedom, and P the
number of parameters, with subscriptsfand p for the full and partial models and
a subscript e for extra, the calculations can be summarized as in Table 3.5. To
complete the analysis, we compare the ratio s$/sj to F(v,,vf;a)and accept the
partial model if the calculated mean square ratio is lower than the table value.
Otherwise, we retain the extra terms and use the full model. Illustrations of the
104 NONLINEAR REGRESSION ANALYSIS
use of the extra sum of squares analysis are given below in Example Puromycin
10 and in Section 3.1 1.
Note that for linear least squares, the extra sum of squares analysis is ex
act because the data vector y is being projected onto linear subspaces of the
response space to determine Sp and SP Mathematically, the partial model ex
pectation plane is a linear subspace of the full model expectation plane. Residu
al vectors can then be decomposed into orthogonal components and, from the
fact that the full model residual vector has a squared length which is distributed
as a a2x2random variable with N  P degrees of freedom, it follows that the
squared lengths of the components are also distributed as $x2 random variables
with degrees of freedom equal to the dimensions of the linear subspaces.
For nonlinear models, as we might expect, the analysis is only approxi
mate because the calculated mean square ratio will not have an exact F distribu
tion. However, the distribution of the mean square ratio is only affected by in
trinsic nonlinearity and not by parameter effects nonlinearity, and, as shown in
Chapter 7, the intrinsic nonlinearity is generally small. When the partial model
is inadequate, the effect of intrinsic nonlinearity on the analysis can be large but
the partial model will be rejected anyway: it is only when the fitted values are
very close that the form of the distribution is critical. In these cases, the intrin
sic nonlinearity will usually have a small effect because the expected responses
being compared are close together on the expectation surface.
Example: Puromycin 10
In the Puromycin experiment, two blocks of experiments were run. In one
the enzyme was treated with puromycin (Table Al.3a), and in the other the
same enzyme was untreated (Table A1.3b). It was hypothesized that the
Puromycin should affect the maximum velocity parameter 01,but not the
halfvelocity parameter 02. The two data sets are plotted in Figure 3.13.
To determine if the O2 parameter is unchanged, we use an extra sum
of squares analysis, which requires fitting a full and a partial model. The
full model corresponds to completely different sets of parameters for the
treated data and the untreated data, while the partial model corresponds to
different O1 parameters but the same O2 parameter. To combine the full
and partial models, we introduce the indicator variable
x2 =I
(0 untreated
1 treated
where O1 is the maximum velocity for the untreated enzyme, (PI is the in
I I I I I
0.0 0.2 0.4 0.6 0.8 1.0
Concentration (pprn)
Figure 3.13 Plot of enzyme velocity data versus substrate concentration. The data for
the enzyme treated (not treated) with Puromycin are shown as 0 (*).
106 NONLINEAR REGRESSION ANALYSIS
Approx. Correlation
Parameter Estimate Std. Err. t Ratio Matrix
91 166.6 5.81 28.7 1.00
92 0.058 0.00591 9.8 0.61 1.00
41 42.0 6.27 6.7 0.54 0.06 1.00
possible to analyze for lack of fit of the partial model as shown in Table
3.9. These summary calculations, together with plots of the residuals (not
shown), suggest that a model which has a common halfvelocity parameter
and a higher asymptotic velocity for the treated enzyme is adequate. H
In the above example, the t ratios for the incremental parameters permit
reliable inferences to be made concerning changes from one block to another.
We recommend, however, that the extra sum of squares analysis always be used,
since it is unaffected by parameter effects nonlinearity (see Chapter 7) and is
therefore more exact than the t test in the nonlinear case. We only use the t ra
tios to suggest which incremental parameters might be zero and should be inves
tigated further: the actual decision on whether to retain a parameter should be
based on an extra sum of squares analysis or a profile t analysis (see Chapter 6).
In summary, incremental parameters provide a direct and simple pro
cedure for determining whether changes in parameters occur between different
blocks. Clearly, incremental parameters can also be used to advantage in linear
least squares to determine changes in parameters between blocks, since then the
t tests are exact. Even for linear least squares, however, we recommend fitting
the reduced model and using the extra sum of squares analysis to make any final
decisions concerning inclusion or deletion of parameters, so as to avoid prob
lems with multicollinearity and inflation of variances. Incremental parameters
can also be used when there are more than two blocks by introducing additional
indicator variables or, possibly, by rewriting the parameters as functions of other
variables as in Section 3.1 1.
When trying to decide which of several nonnested models is best, the first ap
proach should be to the researcher. That is, if there are scientific reasons for
prefemng one model over the others, strong weight should be given to the
researcher’s reasons because the primary aim of data analysis is to explain or
account for the behavior of the data, not simply to get the best fit.
Example: Puromycin 11
Suppose in the research on Puromycin (Example Puromycin 10) there
were, say, four treatment levels of Puromycin instead of just two (treated
and untreated). We could then proceed by incorporating three indicator
variables to account for changes in the parameters due to different treat
ments. However, if the Puromycin treatments consist of different doses, it
might be possible to write
PRACTICAL CONSIDERATIONS 109
expectation function. Pairwise plots of the parameter inference region, and pos
sibly profile t plots, as described in Chapter 6, should be given. Of great impor
tance is an interpretation of the expectation function and the parameter values
relative to the original problem, and especially any new findings, such as the
need for additional variables in the model or the nonnecessity of any variables
or parameters.
Finally, conclusions and recommendations should be made, especially
concerning possible future experiments or development of the research.
For further tips on report writing, see Ehrenberg (1981), Ehrenberg
(1982), and Watts (1981). The preparation and presentation of graphical materi
al is covered in Tufte (1983), Cleveland (1984, 1985), and Chambers et al.
(1983).
From a plot of the data (Figure 3.14) it can be seen that there was a difference in
the nitrite utilization between experiments on the two days, particularly at higher
light intensities. There is also a tendency for the response to drop at high light
intensity. Note too that, even though the response ranges from 200 to 20000
nmol/g hr, the variance is effectively constant; there is no need to transform to
stabilize variance. To verify the apparent stable variance, we performed a two
way analysis of variance using indicator variables for days and for light intensi
ties, with the results shown in Tables 3.10 and 3.1 1.
For our purposes the most useful information from the two way analysis
of variance is the replication sum of squares and mean square, which can be
used for testing lack of fit. We note, however, that the lack of a significant
dayxintensity interaction suggests that some of the model parameters may be
equal for the two days, although the significant day effect tends to corroborate
the observed difference between the heights of the maxima on the two days. A
plot of the replication standard deviations versus the replication averages, shown
PRACTICAL CONSIDERATIONS 111
* **
*
i 0
*
*
*
c
*
3
0
I
:
**
sf
t
I I I I
0 50 100 150
Light intensity
Figure 3.14 Plot of nitrite utilization by bean plants versus light intensity for day 1 (*)
and day 2 (4.
Table 3.10 Two way analysis of variance for the nitrite utilization
data.
Sumof Degrees Mean
Squares of Square
Source (lo6) Freedom (lo6) F Ratio p Value
Days 4.23 1 4.23 6.1 0.02
Intensity 2040 7 291.5 420. 0.00
Days x intensity 10.07 7 1.44 2.1 0.08
Replication 22.21 32 0.694
112 NONLINEAR REGRESSION ANALYSIS
* *
*
*
I I I L
0 5000 10000 15000 20000
Replication average
Figure 3.15 Replication standard deviations plotted versus replication averages for the
nitrite utilization data. Day 1 data are shown as * and day 2 data as 0.
in Figure 3.15, verified our earlier assessment that the variance is stable since
there is no systematic relation, and so we proceed to model fitting.
Note that the analysis of variance is used here only as a screening tool. It
is not intended as a final analysis of these data, since the underlying additive
linear model assumed in an analysis of variance is not appropriate.
PRACTICAL CONSIDERATIONS 113
Because the researchers did not have a model in mind, it was necessary to select
one on the basis of the behavior of the data. The MichaelisMenten model
X2 ={
0
1
day 1
day2
Since the maximum value on day 1 is about 20000, and on day 2 is about
18000,we choose 0: = 25 000 and 4: = 3000. The response reaches about
12500 at a li ht intensity of about 34 for day 1 and 35 for day 2, which gives
ey=34anqf=1.
ponential rise model, in this case with a lack of fit ratio of 3.2, corresponding to
a p value of 0.00.)
A plot of the residuals versus light intensity, as in Figure 3.16, reveals
nonrandom behavior, with negative residuals at small and large intensities and
positive ones in the middle. The model must therefore be modified to allow the
nitrite utilization to drop with increasing light intensity, rather than leveling off
as suggested by the researchers.
which, with incremental parameters and an indicator variable for the different
days, becomes
PRACTICAL CONSIDERATIONS 115
*
*
*
0 50 100 150
Light intensity
Figure 3.16 Studentized residuals from the 4parameter MichaelisMenten model plot
ted versus light intensity. Day 1 data are shown as * and day 2 data as 0.
(For the exponential rise model, we replaced the unit term by an exponential to
produce the exponential difference model,
f = e1(e43'  e4Zx)
This model, augmented with increment parameters and an indicator variable,
was also used to fit the data.)
Starting values for the parameters were obtained by taking reciprocals of
the function and the data and using linear least squares for the quadratic
MichaelisMenten model. Taking reciprocals worked for the day 2 data, giving
8 = (107411, 234, 0.024)T, but gave some negative values for the day 1 data.
We therefore used the day 2 starting values with slight perturbations to get start
e0
ing values for the 6parameter model of 8' = (1lOOOO, 234, 0.024)T and
= (10000, 23, 0.002)T. (For the exponential difference model, we guessed
that the two rate constants might be in the ratio 1 5 and used the estimate for e2
to give e3 = 0.006.We then estimated 8, by evaluating
for several x values. This gave = 37 OOO for the day 1 data and 35 000 for the
day 2 data, from which we got 4: = 2000.)
116 NONLINEAR REGRESSION ANALYSIS
Quick convergence was achieved to the parameter estimates given in Table 3.14
for the quadratic MichaelisMenten model. All the incremental parameters
have nonsignificant approximate t ratios, which suggests that the parameters
could be zero, and so a simpler model may be adequate. The extremely high
parameter approximate correlations also lead one to suspect that the model may
be overparametrized. The residual sum of squares (32.02~10~ on 42 df) is only
about a third of that for the previous model. (Similar conclusions were reached
for the 6parameter exponential difference model.)
The residuals for this model, plotted versus light intensity in Figure 3.17,
are clearly well behaved and give no evidence of inadequacy of the model.
The results for the 4parameter quadratic model are given in Table 3.15. The
extra sum of squares analysis for the 4parameter versus the 6parameter qua
dratic model, shown in Table 3.16, does not show a significant degradation of
the fit with elimination of 42 and 93. The residuals, when plotted versus light in
tensity as in Figure 3.18, attest to the adequacy of the model. Furthermore, a
lack of fit analysis, shown in Table 3.17, suggests that the model is adequate.
0 50 100 150
Light intensity
Figure 3.17 Studentized residuals from the 6parameter quadratic MichaelisMenten
model plotted versus light intensity. Day 1 data are shown as * and day 2 data as 0.
' *
5 *
* ** 3 *
t
*
0 50 100 150
Light intensity
Figure 3.18 Studentized residuals from the 4parameter quadratic MichaelisMenten
model plotted versus light intensity. Day 1 data are shown as * and day 2 data as 0.
PRACTICAL CONSIDERATIONS 119
To compare the nested models we have used incremental parameters and the ex
tra sum of squares principal, but they can not be used to compare the quadratic
MichaelisMenten and the exponential difference models. Our first approach
was to the researchers, asking them whether one model was preferred on
scientific grounds. In this case, the researchers had no preference, and so we
simply presented them with the results for both models. Because the lack of fit
ratio and the residual mean squares were smaller, we had a slight preference for
PRACTICAL CONSIDERATIONS 121
the MichaelisMenten model. In Figure 3.19 we show the nitrite utilization data
together with the fitted curve and the approximate 95% confidence bands for the
4parameter quadratic MichaelisMenten model.
A brief report was prepared for Professors Elliott and Peirson, along the lines of
Section 3.12. The major finding of interest was the need for a model which rose
to a peak rather than to an asymptote. This was not expected, at least at such a
low light level. As part of our report, we recommended additional experiments
be run, especially at higher light intensities, in order to verify the need for a
model which rises to a peak rather than approaching an asymptote, and to help
discriminate between the two competing models. It was further suggested that
future experiments involve fewer levels at low light intensity to reduce effort.
So far we have concentrated more on the analysis of data than on the design of
experiments to produce good data, although we believe that good experimental
0
8
N
0
1 *...............
....................... ..__
.._ ......
s
9..
0
w
C
E
% O
3 0
:E
a 4
2
0
8
In
I I 1
0 50 100 150
Light intensity
Figure 3.19 Plot of nitrite utilization versus light intensity together with the fitted
curves (solid lines) and the 95% approximate inference bands (dotted). Data for day 1
are shown as * and for day 2 as 0.
122 NONLINEAR REGRESSION ANALYSIS
design is vital to scientific progress. The reason for the prime importance of ex
perimental design is that the information content of the data is established when
the experiment is peqormed, and no amount of sensitive data analysis can re
cover information which is not present in the data.
One reason for our emphasizing analysis rather than design is that we usu
ally have to deal with data that have been obtained without the benefit of good
statistical design. Another reason is that, while good experimental design is ex
tremely valuable, it is necessary to know how to analyze data in order to appre
ciate what “good experimental design” is.
As was the case for estimation, it is helpful first to discuss the linear situa
tion. Accordingly, in the following section we present a brief review of experi
mental design for linear expectation functions. For a more comprehensive
presentation, see Box, Hunter, and Hunter (1978), Davies (1956), and Cochran
PRACTICAL CONSIDERATIONS 123
and Cox (1957); and for general considerations on the planning of experiments,
Box and Draper (1959) and Draper and Smith (1981). A thorough review of op
timal designs is given in St. John and Draper (1973, Cochran (1973), and Stein
berg and Hunter (1984). Hamilton and Watts (1985) discussed designs using
second order derivatives, and the geometry of experimental designs was dis
cussed in Silvey and Titterington (1973).
Before considering the more technical details of experimental design, we
offer some comments which help ensure attainment of the general objectives ( 1 )
and (2) above.
With regard to providing accurate and precise estimates of the parameters,
it is helpful to recognize that an experimental design involves choosing the
values of the factors for a selected number of experimental cases (or runs). It is
therefore important that the number of cases be large enough to ensure attain
ment of the specific objectives of the experiment. For example, if an expecta
tion function involves five parameters, there will have to be at least five distinct
experimental conditions. It is equally important to limit the number of experi
ments done at any one time. That is, one should not construct an extremely
large design and then proceed slavishly to follow that design to its completion.
Due account should be taken of what is learned at each stage of the experiment,
and this information should be exploited in the design of the next stage. The
number of experiments which should be run in a block will depend on the
number of factors and the type of experiment being run, of course, but blocks of
size 10 to 20 are usually informative and manageable.
The choices of the factor settings should be such that they are in useful
and appropriate ranges of the factors. That is, the factors should be located near
sensible values which will permit use of the parameter estimates in future inves
tigations, and the levels of each factor should be spread out enough so that the
effect of each factor will be revealed in spite of the inherent variability of the
response.
With regard to verifying the assumptions about the expectation function, it
is important to provide replications to enable testing for lack of fit or inadequacy
of the expectation function. It is also important, when possible, to randomize
the order of the experiments, to ensure that the expectation function is appropri
ate. (If there are unsuspected factors operating, randomizing will tend to cause
their effects to appear as increased variability rather than as incorrect parameter
estimates, as discussed in Section 1.3.)
With regard to verifying the assumptions about the disturbance model, re
plications are again important. As discussed in Section 1.3, replications enable
one to test for constancy of variance and to determine a variance stabilizing
transformation if the variance is deemed not constant. Randomizing will also
tend to ensure that all of the assumptions concerning the disturbances will be ap
propriate, as discussed in Section 1.3. Once again, we see the importance and
power of randomizing.
In summary, statistical analysis is concerned with the efficient extraction
and presentation of the information embodied in a data set, while statistical ex
perimental design is concerned first with ensuring that the important necessary
124 NONLINEAR REGRESSION ANALYSIS
information is embodied in a data set, and second with making the extraction
and presentation of that information easy.
Var[Z] = 021
For a linear regression model, a row of the derivative matrix X depends only on
the choice of the K design variables, where the design variables determine such
characteristics as when the run is taken, at what pressure, at what temperature,
etc. An individual entry in the derivative matrix is calculated from the values of
the design variables. For any choice of the design variables generating a deriva
tive matrix X, the parameters B will have a joint inference region whose volume
is proportional to I XTX I Thus, a logical choice of design criterion is to
choose the design points so that the volume of the joint inference region is
minimized (Wald, 1943). Since the power 1/2 is inconsequential, Wald pro
posed maximizing the determinant D = I XTX I, and designs which satisfy this
criterion are called Doptimal designs. The criterion is referred to as the deter
minant criterion.
From a geometric point of view, the determinant criterion implies that we
should2choose the columns of X so that each vector is as long as possible
( 11 xp II is as large as possible, p = 1.2, . . . ,P ) , and try to make the vectors
orthogonal (xFxq =0, p #q). The former ensures that the expectation plane will
be well supported in the response space, and that the parameter lines will be
widely spaced on the expectation plane. Consequently the disturbances, whose
variance is beyond our control, will have small effect, thereby producing a joint
region in the parameter space with small volume. The latter ensures that the
parameter estimates associated with the factors will not be correlated. That is,
changes in the response will be correctly associated with changes in the ap
propriate causative factor, and not attributed to other factors.
The two requirements of long length and orthogonality of the derivative
vectors ensure that a disk on the expectation plane will map to a small ellipse in
standard position on the parameter plane.
The determinant criterion was applied to nonlinear expectation functions
by Box and Lucas (1959) who used, in place of the X matrix, the derivative ma
trix Vo evaluated at some initial parameter estimates @. That is, in nonlinear
design, the Doptimal criterion is modified to maximize
PRACTICAL CONSIDERATIONS 125
D = lVoTVol (3.5)
The design of an experiment depends on the stage at which the researcher
is in an investigation. When only the form of the model is known, but not the
parameter values, as could be the case in enzyme kinetics or in biochemical ox
ygen demand studies, the researcher would be concerned with choosing the
values of the factors to produce good parameter estimates. These are called
“starting designs.” Later on in an investigation, the researcher might wish to
design an experiment to improve the precision of estimates of some or all of the
parameters, exploiting data already obtained. Such designs are called “sequen
tial designs,” and, when special interest is attached to a subset of the parameters,
“subset designs.”
Box and Lucas (1959) proposed starting designs consisting of P points for a P 
parameter model, and therefore simplified the criterion (3.5) to that of maximiz
ing I Vo I . Geometrically, the determinant criterion ensures that the expectation
surface is such that large regions on the tangent plane at q(8O) map to small re
gions in the parameter space. When more than P points are to be chosen, the
Doptimal design usually results in replications of P distinct design points (Box,
1968), and these design points are those that would be chosen as Doptimal with
N = P. We therefore consider starting designs as having only P runs.
Example: Puromycin.12
To illustrate the choice of a starting design, we consider the case of enzyme
kinetics, which are assumed to follow a MichaelisMenten model. We as
sume that the maximum allowable substrate concentration is specified as
x,,, and that initial estimates of the parameters 8’ are given.
The derivatives of the expectation function, evaluated at the initial
parameter estimates eo,are
X eyx
e;+x (e;+X)*
0)
8
m
8
t
8
6
(0
8
v)
8
d
8
Figure 3.20 Comparison of 95% approximate inference regions for two designs for the
Puromycin data. The larger region results from the dilution design used, and the shaded
region results from a Doptimal design.
In many situations, some experiments will already have been done to check if
the equipment is functioning properly, or to screen possible models, as
described in Box and Hunter (1965). In other situations, it may be possible to
perform and analyze the result from a single experiment quite rapidly. In these
situations, it is possible to obtain even better parameter estimates by designing
the experiments sequentially; that is, an experimental run is designed, the data
are collected and analyzed, and the design for the next run is obtained by max
imizing I VTV, I with respect to the design variables, x ~ +where
~ ,
C J
and vN+l is the gradient vector dfldeT evaluated at the least squares estimates
128 NONLINEAR REGRESSION ANALYSIS
Example: lsomerization 3
To illustrate sequential design, we consider the model and data set from
Example Isomerization 1. The correlations between the parameters are
very high, and the linear approximation confidence regions include nega
tive values for the equilibrium constants. We would therefore like to
design experiments to provide better precision in the parameter estimates.
The design points are determined by the values of the partial pressure
of hydrogen, x 1 , the partial pressure of npentane, x2, and the partial pres
sure of isopentane, x 3 . In the previous runs these variables have ranged
from about 100 to 400 for x I , 75 to 350 for x 2 , and 30 to 150 for x3, so we
use these limits to define a reasonable region within which to design further
runs. We begin by evaluating the sequential Doptimal design criterion at
the original design points and at sequential design points at the comers of
the region. This gives the values in Table 3.21. The combination which
optimizes the Doptimal criterion is low x I (loo), high x 2 (350), and low
x 3 (30). Examination of nearby values confirms that the comer is a local
optimum, and since a coarse grid search of the design region did not reveal
any optima in the interior, we choose this comer as the design point for the
next run. W
Example: lsomerization 4
To illustrate subset design, we consider the model, data set, and design re
gion from Example Isomerization 3, and treat the situation in which we
wish to improve the estimates of €I2. e3,and 0,. Evaluation of Ds at the
comers of the same region gives the results in Table 3.22, which produce
similar conclusions and the same design point as in Example Isomerization
3.
Factor Criterion
lo6
DS
XI x2 x3
is simpler.
The easiest type of conditionally linear model to demonstrate this for is
that with only one conditionally linear parameter, so the function can be written
m e ) = el g ( X a 1 )
for some function g where =(€I2,, . . ,ep)T. This
includes the
MichaelisMenten, BOD, and isomerization models. The gradient of the model
function can then be written
which isolates the dependence of from any dependence upon x. Using (3.6),
the derivative matrix V can be written
V = H(x,81) B(Q,) (3.7)
where
Precise parameter estimation is not the only objective used for experimental
design. Methods have been proposed for constructing designs for discriminat
ing between possible model functions (Box and Hill, 1974) and for balancing
the objectives of model discrimination and precise parameter estimation (Hill,
Hunter, and Wichern, 1968). The review article (Steinberg and Hunter, 1984)
describes many of these criteria. We also list several of the references for dif
ferent experimental design criteria for single response and multiresponse non
linear models in the bibliography.
Exercises
3.1 Use the data from Appendix 4, Section A4.2 to fit the logistic model
(a) Plot the data versus x = loglo (NIF concentration). Note that you will
have to make a decision about how to incorporate the zero concentra
tion data. You may want to incorporate the actual NTD concentrations
also.
(b) Give graphical interpretations of the parameters in the model, and use
the plot to obtain starting values for each data set.
132 NONLINEAR REGRESSION ANALYSIS
(c) Use the starting values in a nonlinear least squares routine to find the
least squares estimates for the parameters for each data set.
(d) Use incremental parameters and indicator variables to fit all of the data
sets together.
(e) Simplify the model by letting some of the parameters be common to all
of the data sets. Use extra sum of squares analyses to determine a sim
ple adequate model.
(f) Write a short report about this analysis and your findings.
3.2 Use the data from Appendix 1, Section A1.14 to determine an appropriate
sum of exponentials model.
(a) Plot the data on semilog paper and use the plot to determine the number
of exponential terms to fit to the data.
(b) Use curve peeling to determine starting estimates for the parameters.
(c) Use the starting estimates from part (b) to fit the postulated model from
part ( 4 .
3.3 (a) Use the plot from Problem 2.6 and sketch in the curve of steepest des
cent from the point 8'. Hint: The direction of steepest descent is per
pendicular to the contours.
(b) Is the direction of the GaussNewton increment close to the initial
direction of steepest descent?
(c) Calculate and plot the Levenberg increment using a conditioning factor
of k =4.
(d) Calculate and plot the Marquardt increment using a conditioning factor
of k =4.
(e) Comment on the relative directions of the GaussNewton, Levenberg
and Marquardt increment vectors.
3.4 Use the data from Appendix 4, Section A4.3 to determine an appropriate
model and to estimate the parameters.
(a) Plot the concentration versus time on semilog paper, and use the plot to
determine the number of exponential terms necessary to fit the data.
(b) Use the plot and the method of curve peeling to determine starting
values for the parameters.
(c) Use a nonlinear estimation routine to estimate the parameters.
3.5 Use a nonlinear estimation routine and the data and model from Appendix
4, Section A4.4 to estimate the parameters. Take note of the number of
iterations required and any difficulties you encounter in each attempt.
(a) Use any approach you think is appropriate to obtain starting values for
the parameters in the model.
(b) Use your starting values in a nonlinear estimation routine to estimate
the parameters. If you achieve convergence, examine the parameter ap
proximate correlation matrix, and comment on the conditioning of the
model.
(c) Reparametrize the model by centering the factor l / x 3 , and use the
equivalent starting values from part (a) to estimate the parameters. If
you achieve convergence, examine the parameter approximate correla
PRACTICAL CONSIDERATIONS 133
tion matrix, and comment on the conditioning of the model. What ef
fect does this reparametrization have on the number of iterations to con
vergence?
(d) Reparametrize the model in part (a) using 8, =eel and O2 =eC2 and the
equivalent starting values from part (a) to estimate the parameters. If
you achieve convergence, examine the parameter approximate correla
tion matrix, and comment on the conditioning of the model. What ef
fect does this reparametrization have on the number of iterations to con
vergence?
(e) Reparametrize the model in part (b) using the same parametrization as
in part (c) and the equivalent starting values from part (a) to estimate
the parameters. If you achieve convergence, examine the parameter ap
proximate correlation matrix, and comment on the conditioning of the
model. What effect does this reparametrization have on the number of
iterations to convergence?
3.6 Use a nonlinear estimation routine and the data and model from Appendix
4, Section A4.5 to estimate the parameters. Take note of the number of
iterations required and any difficulties you encounter in each attempt.
(a) Use any approach you think is appropriate to obtain starting values for
the parameters in the model.
(b) Use your starting values in a nonlinear estimation routine to estimate
the parameters. If you achieve convergence, examine the parameter ap
proximate correlation matrix, and comment on the conditioning of the
model.
(c) Reparametrize the model in part (a) using 02ed3' =ed3(xe2) . If you
achieve convergence, examine the parameter approximate correlation
matrix, and comment on the conditioning of the model. What effect
does this reparametrization have on the number of iterations to conver
gence?
3.7 (a) Show that the theoretical Doptimal starting design for the logistic
model of Problem 3.1 consists of x = (=, 03l.044/04, 03+l.044/04,
*)T.
(b) Interpret the choice of the design points graphically by plotting the
logistic function versus x and plotting the location of the design points
on the xaxis.
(c) Plot the derivatives with respect to the parameters versus x and use
these plots to help interpret the choice of the design points.
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